64
DAFTAR PUSTAKA Adenso, D.B and Fernando Gascon, 2007. Linking and Weighting Efficiency Estimates with Stock Performance in Banking Firms, Financial Institutions Center, The Wharton School, University of Pennsylvania. Ang, Robert. 2005. Buku Pintar: Pasar Modal Indonesia. Mediasoft Indonesia. Basyori, Kurnia. 2008. Analisis Pengaruh Pengumuman Dividen Terhadap Return Saham. Skripsi, Fakultas Ekonomi Universitas Islam Indonesia Yogyakarta. (Tidak dipublikasikan). Harahap, Sofyan Syafri. 2009. “Analisis Kritis Atas Laporan Keuangan”. Jakarta: RajaGrafindo Persada. Haryanto, Sahmuddin, Arifuddin, 2007, Akuntasi Sektor Publik, Semarang, Badan Penerbit UNDIP. Henry Simamora, 2006. Akuntansi Basis Pengambilan Keputusan Bisnis,. Jakarta : Salemba Empat. Husnan, Suad. 2006. Dasar-dasar Teori Porotofolio dan Analisis Sekuritas. Edisi Revisi. Yogyakarta: AMP YKPN Jogiyanto HM, 2005, Analisis dan Desain: Sistem Informasi Pendekatan Terstruktur Teori dan Praktik Aplikasi Bisnis, Penerbit : Andi Offset, Yogyakarta Makridakis, S. dan Wheelwright, S.C. 2005. Metode dan Aplikasi Peramalan. Edisi. Ke-2. Terjemahan Hari Suminto. Jakarta: Binarupa Natarsyah, Syahib, 2005, Analisis Pengaruh beberapa Faktor Fundamental dan Risiko Sistematik terhadap Harga Saham, Journal Ekonomi dan Bisnis Indonesia,Vol 15, No. 3. Sutrisno.(2005).Manajemen Keuangan Teori, Konsep, dan Aplikasi.Yogyakarta: Ekonisi. Van Horne, James C. and John M. Wachowicz. 2005. Fundamentals of Financial:Management Prinsip-Prinsip Manajemen Keuangan. Penerjemah: Dewi Fitriasari dan Deny Arnos Kwary. Penerbit Salemba Empat: Jakarta. Wahyudi, Sugeng, 2006, Pengukuran Return Saham, Jurnal Ekonomi, Suara Merdeka.
DATA PENELITIAN NO
Nama Perusahaan
DPR 2010
2011
0.157848 0.65082
ROE 2010
2011
Return Saham 2010 2011 2012
1
Aneka Tambang Tbk
2009 0.5
0.605077
2009 0.2779
2
Astra Agro Lestari Tbk
0.2551
0.362662652
0.585658
8
4.475
5.457
0.151616
0.0701
0.286446719
0.485994
12.6
28
3
Astra Internasional Tbk
0.3847
0.163577
0.201863
0.5238
32
0.165898097
0.24179
15.7
27.3
45
4
Berlian Laju Tanker Tbk
0.3611
0.066007
0.201005
0.2094
0.384930848
0.228914
1.74
2.65
3.245
5
Bakrie Sumatra Plantation Tbk
0.4
0.129833
0.21328
0.0039
0.269107347
0.086607
9.7
2.275
5.458
6
Bumi Reseources Minerals Tbk
7
0.3067
0.00014
0.000153
0.1134
0.617605232
0.703236
900
6
452
Citra Marga Nusaphala Tbk
0.5
0.205725
0.298514
0.3162
0.094692664
0.088611
1.65
2.2
4.5
8
Gajah Tunggal Tbk
0.5
0.172414
0.1401
0.055450858
0.038075
580
490
523
9
International Nickel Ind. Tbk
10
Indosat Tbk
0.135135
0.002
0.004808
0.815583
0.2053
0.30506579
0.846024
31
96.25
80.257
0.4496
0.572327
0.345273
0.3432
0.092758627
0.123426
6.75
8.65
7.36
0.112268
0.0481
0.982637777
0.142028
5.75
8.2
9.2
0.4
11
Indocement Tunggal Perkasa Tbk
12
Lippo Karawaci Tbk
0.0075
0.45
0.1925
0.3051
0.10972316
83934253
1.07
690
752
13
Perusahaan GAS Negara Tbk
0.4381
0.250239
2.714286
0.1341
0.339435769
0.012473
11.6
15.35
127
14
PT. Apexindo Pratama Duta Tbk
1.0968
0.483129
0.0928
0.146159423
0.146364
1.73
2.1
1.25
15
PT. Semen Gresik Tbk
0.3025
2.032661
3.652375
0.2259
0.235565681
0.267895
36.3
5.6
478
16
Tambang Batubara Bukit Asam Tbk
0.4984
0.480841
0.319433
0.3394
0.211578507
0.271588
3.525
12
15
17
Telekomunikasi Indonesia Tbk
0.4583
0.075224
0.0838
5.320073244
0.380965
10.1
10.15
10.89
18
Timah Tbk
19 20
0.310494
0.132231
0.088477
0.023
0.243599
0.058314
0.3921
0.124146129
0.531279
4.425
28.7
275
United Tractor Tbk
0.0009
0.138037
0.114504
0.4264
0.202499675
0.260413
6.55
10.9
14.58
Unilever Indonesia Tbk
0.3054
0.353982
0.350195
0.0455
0.726863152
0.729773
6.6
6.75
6.88
OUTPUT SPSS Descriptive Statistics
Return Saham (Y) Deviden Pay Out Ratio (DPR) (X1)
Mean
Std. Deviation
N
99.3403
212.33929
60
.4139
.61014
60
1.08359E7
60
Return On Equity (ROE) (X2) 1.3989E6
Correlations Return On Return Saham
Deviden Pay Out
Equity (ROE)
(Y)
Ratio (DPR) (X1)
(X2)
1.000
.135
.404
.135
1.000
-.048
Return On Equity (ROE) (X2)
.404
-.048
1.000
Return Saham (Y)
.
.152
.001
.152
.
.359
Return On Equity (ROE) (X2)
.001
.359
.
Return Saham (Y)
60
60
60
60
60
60
60
60
60
Pearson Correlation
Return Saham (Y) Deviden Pay Out Ratio (DPR) (X1)
Sig. (1-tailed)
Deviden Pay Out Ratio (DPR) (X1)
N
Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2)
Variables Entered/Removed
b
Variables
Variables
Model
Entered
Removed
Method
1
Return On
.
Enter
Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)
a
a. All requested variables entered. b. Dependent Variable: Return Saham (Y)
b
Model Summary
Model
R
1
.432
a
Adjusted R
Std. Error of the
R Square
Square
Estimate
.187
.158
194.82287
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)
b
ANOVA Model 1
Sum of Squares
df
Mean Square
F
Sig.
Regression
496701.241
2
248350.621
6.543
.003a
Residual
2163489.193
57
37955.951
Total
2660190.434
59
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)
a
Coefficients
Model 1
(Constant) Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2)
Unstandardized
Standardized
Coefficients
Coefficients
B
Std. Error
65.793
30.748
53.837
41.618
8.052E-6
.000
a. Dependent Variable: Return Saham (Y)
Beta
t
Sig.
2.140
.037
.155
1.294
.201
.411
3.436
.001
a
Residuals Statistics Minimum
Maximum
Mean
Std. Deviation
N
Predicted Value
65.8006
752.0000
99.3403
91.75328
60
Std. Predicted Value
-.366
7.113
.000
1.000
60
25.374
194.823
33.909
27.580
60
51.6071
241.3962
85.6702
29.10961
59
.00000
191.49232
60
Standard Error of Predicted Value Adjusted Predicted Value Residual
-1.69626E2 8.17695E2
Std. Residual
-.871
4.197
.000
.983
60
Stud. Residual
-.937
4.234
.014
1.006
60
2.60805
203.18960
59
Deleted Residual
-1.96320E2 8.32269E2
Stud. Deleted Residual
-.936
5.069
.033
1.103
59
Mahal. Distance
.018
58.017
1.967
8.422
60
Cook's Distance
.000
.789
.021
.103
59
Centered Leverage Value
.000
.983
.033
.143
60
a. Dependent Variable: Return Saham (Y)
Charts
Variables Entered/Removedb Variables
Variables
Model
Entered
Removed
Method
1
Return On
.
Enter
Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)
a
a. All requested variables entered. b. Dependent Variable: Return Saham (Y)
Model Summary
Model
R
1
.432
a
Adjusted R
Std. Error of the
R Square
Square
Estimate
.187
.158
194.82287
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)
b
ANOVA Model 1
Sum of Squares
df
Mean Square
F
Sig.
Regression
496701.241
2
248350.621
6.543
.003
Residual
2163489.193
57
37955.951
Total
2660190.434
59
a
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)
a
Coefficients
Standardize Unstandardized
d
Collinearity
Coefficients
Coefficients
Statistics Toleranc
Model 1
(Constant) Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2)
B
Std. Error
65.793
30.748
53.837
41.618
8.052E-6
.000
Beta
t
Sig.
e
VIF
2.140
.037
.155
1.294
.201
.998
1.002
.411
3.436
.001
.998
1.002
a. Dependent Variable: Return Saham(Y)
Collinearity Diagnosticsa Variance Proportions Dimensi
Deviden Pay Out Return On Equity
Model
on
Eigenvalue
Condition Index
(Constant)
Ratio (DPR) (X1)
(ROE) (X2)
1
1
1.587
1.000
.21
.20
.02
2
.985
1.269
.00
.03
.94
3
.427
1.927
.79
.76
.03
a.
Dependent Variable: Return Saham (Y)
a
Residuals Statistics
Predicted Value Residual
Minimum
Maximum
Mean
Std. Deviation
N
65.8006
752.0000
99.3403
91.75328
60
.00000
191.49232
60
-1.69626E2 8.17695E2
Std. Predicted Value
-.366
7.113
.000
1.000
60
Std. Residual
-.871
4.197
.000
.983
60
a. Dependent Variable: Return Saham (Y)
Runs Test
Unstandardized Residual a
Test Value
-68.90331
Cases < Test Value
30
Cases >= Test Value
30
Total Cases
60
Number of Runs
33
Z
.521
Asymp. Sig. (2-tailed)
.602
a. Median
One-Sample Kolmogorov-Smirnov Test Unstandardized Residual N
60
a
Normal Parameters
Mean
.0000000
Std. Deviation
1.91492319E2
Absolute
.394
Positive
.394
Negative
-.280
Most Extreme Differences
Kolmogorov-Smirnov Z
3.055
Asymp. Sig. (2-tailed)
.000
a. Test distribution is Normal.
Variables Entered/Removed
b
Variables
Variables
Model
Entered
Removed
Method
1
Return On
.
Enter
Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)
a
a. All requested variables entered. b. Dependent Variable: Return Saham (Y)
Model Summaryb
Model
R
1
.432
a
Adjusted R
Std. Error of the
R Square
Square
Estimate
Durbin-Watson
.187
.158
194.82287
2.233
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)
b
ANOVA Model 1
Sum of Squares
df
Mean Square
F
Sig.
Regression
496701.241
2
248350.621
6.543
.003
Residual
2163489.193
57
37955.951
Total
2660190.434
59
a
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)
a
Coefficients
Standardized Unstandardized Coefficients Model 1
B
Std. Error
65.793
30.748
53.837
41.618
8.052E-6
.000
(Constant) Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2)
Coefficients Beta
t
Sig.
2.140
.037
.155
1.294
.201
.411
3.436
.001
a. Dependent Variable: Return Saham (Y)
a
Residuals Statistics
Predicted Value Residual
Minimum
Maximum
Mean
Std. Deviation
N
65.8006
752.0000
99.3403
91.75328
60
.00000
191.49232
60
-1.69626E2 8.17695E2
Std. Predicted Value
-.366
7.113
.000
1.000
60
Std. Residual
-.871
4.197
.000
.983
60
a. Dependent Variable: Return Saham (Y)
Variables Entered/Removed
b
Variables
Variables
Model
Entered
Removed
Method
1
Return On
.
Enter
Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)a a. All requested variables entered. b. Dependent Variable: Return Saham (Y)
b
Model Summary
Model 1
R a
.432
Adjusted R
Std. Error of the
R Square
Square
Estimate
.187
.158
194.82287
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)
b
ANOVA Model 1
Sum of Squares
df
Mean Square
F
Sig.
Regression
496701.241
2
248350.621
6.543
.003a
Residual
2163489.193
57
37955.951
Total
2660190.434
59
a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)
a
Residuals Statistics Minimum
Maximum
Mean
Std. Deviation
N
Predicted Value
65.8006
752.0000
99.3403
91.75328
60
Std. Predicted Value
-.366
7.113
.000
1.000
60
25.374
194.823
33.909
27.580
60
51.6071
241.3962
85.6702
29.10961
59
.00000
191.49232
60
Standard Error of Predicted Value Adjusted Predicted Value Residual
-1.69626E2 8.17695E2
Std. Residual
-.871
4.197
.000
.983
60
Stud. Residual
-.937
4.234
.014
1.006
60
2.60805
203.18960
59
Deleted Residual
-1.96320E2 8.32269E2
Stud. Deleted Residual
-.936
5.069
.033
1.103
59
Mahal. Distance
.018
58.017
1.967
8.422
60
Cook's Distance
.000
.789
.021
.103
59
Centered Leverage Value
.000
.983
.033
.143
60
a. Dependent Variable: Return Saham (Y)
Tabel Nilai-Nilai "Product Moment" N
Taraf Signifikansi
3 4 5
5% 0,997 0,950 0,878
1% 0,999 0,990 0,959
6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
0,811 0,754 0,707 0,666 0,632 0,602 0,576 0,553 0,532 0,514 0,497 0,482 0,468 0,456 0,444 0,433 0,423 0,413 0,404 0,396
0,917 0,874 0,834 0,798 0,765 0,735 0,708 0,684 0,661 0,641 0,623 0,606 0,590 0,575 0,561 0,549 0,537 0,526 0,515 0,505
N 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
Taraf Signifikansi 5% 02,388 0,381 0,374 0,367 0,361 0,355 0,349 0,344 0,339 0,334 0,329 0,325 0,320 0,316 0,312 0,308 0,304 0,301 0,297 0,294 0,291 0,288 0,284 0,281 0,279
1% 0,496 0,487 0,478 0,470 0,463 0,456 0,449 0,442 0,436 0,430 0,424 0,418 0,413 0,408 0,403 0,398 0,393 0,389 0,384 0,380 0,376 0,372 0,368 0,364 0,361
N
Taraf Signifikansi
55 60 65 70 75 80 85 90 96 1 00 1 25 1 50 1 75 2 00 3 00 4 00 5 00
5% 0,266 0,254 0,244 0,235 0,227 0,220 0,213 0,207 0,202 0,195 0,176 0,159 0,148 0,138 0,113 0,098 0,088
1% 0,345 0,330 0,317 0,306 0,296 0,286 0,278 0,270 0,263 0,256 0,230 0,210 0,194 0,181 0,148 0,128 0,115
6 00 7 00 8 00
0,080 0,074 0,070
0,105 0,097 0,091
9 00
0,065
0,086
10 00
0,062
0,081
Sumber: Burhan Bungin, 2005:h. 268, Metodologi Penelitian Kuantitatif
Tabel Nilai t Derajat bebas 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 40 60 120 Y
Probabilitas 0,1
0,05
0,01
0,001
6,314 2,920 2,353 2,132 2,015 1,943 1,895 1,860 1,833 1,812 1,796 1,782 1,771 1,761 1,753 1,746 1,740 1,734 1,729 1,725 1,721 1,717 1,714 1,711 1,708 1,706 1,703 1,701 1,699 1,697 1,684 1,671 1,658 1,645
12,706 4,303 3,182 2,776 2,571 2,447 2,365 2,306 2,262 2,228 2,201 2,179 2,160 2,145 2,131 2,120 2,110 2,101 2,093 2,086 2,080 2,074 2,069 2,064 2,060 2,056 2,052 2,048 2,045 2,042 2,021 2,000 1,980 1,960
63,657 9,925 5,841 4,604 4,032 3,707 3,499 3,355 3,250 3,169 3,106 3,055 3,012 2,977 2,947 2,921 2,898 2,878 2,861 2,845 2,831 2,819 2,807 2,797 2,787 2,779 2,771 2,763 2,756 2,750 2,704 2,660 2,617 2,576
636,619 31,598 12,924 8,610 6,869 5,959 5,408 5,041 4,781 4,587 4,437 4,318 4,221 4,140 4,073 4,015 3,965 3,922 3,883 3,850 3,819 3,792 3,767 3,745 3,725 3,707 3,690 3,674 3,659 3,646 3,551 3,460 3,373 3,291
Tabel Nilai-Nilai Chi Square
d.f 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30
Taraf Signifikansi 50% 0,455 1,386 2,366 3,357 4,351 5,348 6,346 7,344 8,343 9,342 10,341 11,340 12,340 13,339 14,339 15,338 16,338 17,338 18,238 19,337 20,337 21,337 22,337 23,337 24,337 25,336 26,336 27,336 28,336 29,336
30% 1,074 2,408 3,665 4,878 6,064 7,231 8,383 9,524 10,656 11,781 12,899 14,011 15,119 16,222 17,322 18,418 19,511 20,601 21,689 22,775 23,858 24,939 26,018 27,096 28,172 29,246 30,319 31,391 32,461 33,530
20% 1,642 3,219 4,642 5,989 7,289 8,558 9,803 11,030 12,242 13,442 14,631 15,812 16,989 18,151 19,311 20,465 21,015 22,760 23,900 25,038 26,171 27,301 28,429 29,553 30,675 31,795 32,912 34,027 35,139 36,250
10% 2,706 4,605 6,251 7,779 9,236 10,645 12,017 13,362 14,684 15,987 17,275 18,549 19,812 21,064 22,307 23,542 24,769 25,989 27,204 28,421 29,615 30,813 32,007 33,196 34,382 35,563 36,741 37,916 39,087 40,256
5% 3,841 5,991 7,815 9,488 11,070 12,592 14,067 15,507 16,919 18,307 19,675 21,026 22,362 23,685 24,996 26,296 27,587 28,869 30,144 31,410 32,671 33,924 35,172 36,415 37,652 38,885 40,113 41,337 42,557 43,773
1% 6,635 9,210 11,341 13,277 15,086 16,812 18,475 20,090 21,666 23,209 24,725 26,217 27,688 29,141 30,578 32,000 33,409 34,805 36,191 37,366 38,932 40,289 41,638 42,980 44,314 45,642 46,963 48,278 49,588 50,892
